EBA Q&A 2025_7661: Applying the provisions of Article 390 (7) CRR and Delegated Regulation 1187/2014 for determining the overall exposure to a client or a group of connected clients in respect of transactions with underlying assets for received collaterals (indirect exposures) after applying substitution approach according to Article 403 CRR

Applying the provisions of Article 390 (7) CRR and Delegated Regulation 1187/2014 for determining the overall exposure to a client or a group of connected clients in respect of transactions with underlying assets for received collaterals (indirect exposures) after applying substitution approach according to Article 403 CRR

EBA Q&A 2025_7661 · Rejected question

Question

Does a credit institution have to apply the provisions of Article 390 (7) CRR in combination with Delegated Regulation 1187/2014 to a securitization or investment fund exposure, when the credit institution received the securitization or investment fund exposure as a collateral in an SFT?

Background on the question

In the case of financial collaterals, for large exposure purposes, the substitution approach must be applied according to EBA Q&A 2020/5496. The exposure of the financial collateral must also be considered in the overall exposure to the group of connected clients to which the collateral issuer belongs. It is not clear if the provisions of Article 390 (7) CRR and Delegated Regulation 1187/2014 must be applied to a financial collateral in addition to EBA Q&A 2020/5496, when the collateral is a securitization transaction or an investment fund and therefore an indirect exposure. Does the credit institution have to look through or check the materiality threshold for the received financial collateral and must check for an additional risk?

Answer

This question has been rejected because the issue it deals with is already explained or addressed in the regulatory framework, which is sufficiently clear and unambiguous.